First of all, let's clarify what “burning device” actually means. A burning device is a piece of hardware (thus, you can neither download nor copy it) which is capable of burning discs. Not every optical drive is automatically able to do so, but nowadays virtually every PC has such a device built in.
Here is an example: The upper drive is capable of burning and reading (even Blu-ray discs), while the lower drive can only read CDs.
Since CDBurnerXP would usually select a drive by default, this probably means that no drive is actually installed. You can verify that by looking at the drive selection combobox. If no drive is present, it would look like this:
So if no drive is actually available, make sure that
- you actually have an optical device which is capable of burning discs. A CD burning device cannot burn DVDs, but DVD burning devices can usually burn CDs. Such devices should have something like “CD rewritable” or “DVD-rewritable” or “DVD recorder” printed on the front.
- the drive is installed correctly. If it does not appear in the Windows Explorer (My Computer) either, it's probably not. Also note that Windows would also show something else than “DVD device” but rather “DVD-RAM device” or “CD-RW device”.
If both is the case, your drive is most likely not compatible with CDBurnerXP. Just make sure that you properly installed all drivers that came with your drive or mainboard. Also, sometimes it helps to update your drive's firmware.